What does stock index futures delivery mean, and how to determine the delivery price of foreign exchange stock index futures?

Stock index futures contracts need to be delivered after expiration, but general commodity futures, treasury bond futures, and foreign exchange futures use physical delivery, while stock index futures and short-term interest rate futures use cash delivery. This article will introduce to you what the delivery of stock index futures means, and how to determine the delivery price of foreign exchange stock index futures.

​​

What does stock index futures delivery mean?

​​

There are two ways of financial futures delivery: physical delivery and cash delivery. Physical delivery refers to the delivery method in which when the futures contract expires, the buyer and the seller transfer the ownership of the subject matter of the futures contract at the delivery settlement price to end the open position. Cash delivery means that when the futures contract expires, the buyer and the seller calculate the profit and loss of their respective open positions at the delivery settlement price, and end the futures contract by transferring cash.

​​

Stock index futures are traded in cash. Under the cash delivery method, each open contract will be automatically closed at the settlement of the expiry date, that is, on the expiry date of the contract, the short side does not need to deliver the stock portfolio, and the long side does not need to deliver the total contract value. Funds are only calculated based on the delivery settlement price of the profit and loss amount of both parties, and the transaction is settled by directly transferring the profit and loss between the margin accounts of the winning party and the losing party. Cash delivery and no-debt settlement on the same day are essentially the same, with two differences: first, the calculation method of the settlement price is different; Positions on both sides remain.

​​

How to determine the delivery price of foreign exchange stock index futures

​​

During the settlement on the last trading day, the positions entered into cash delivery shall use the delivery settlement price as the basis for calculating profit and loss (positions are automatically closed and settled).

​​

The delivery settlement price is the arithmetic average price of the spot index of the underlying stock in the last 2 hours on the last trading day. There are three types of stock index futures. The spot index corresponding to CSI 300 stock index futures IF is the CSI 300 index. Similarly, the spot underlying indices corresponding to the SSE 50 and CSI 500 stock index futures are the SSE 50 index and the CSI 500 index.

​​

It should be noted that both the Shanghai Stock Exchange and the Shenzhen Stock Exchange have adopted the closing call auction mechanism. Based on this, when CICC calculates the delivery settlement prices of stock index futures contracts such as CSI 300, SSE 50 and CSI 500, the underlying index data used are: The closing index data of the index closing call auction from 14:57 to 15:00.

​​

Regarding the issue of stock index futures delivery, this article introduces what stock index futures delivery means, and how the delivery price of foreign exchange stock index futures is determined. Investors should pay attention to the existence of foreign exchange futures in foreign exchange investment. This method has its own advantages and investors need to pay attention.